Approximate arbitrage-free option pricing under the SABR model (Q1655765)
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scientific article; zbMATH DE number 6915684
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| English | Approximate arbitrage-free option pricing under the SABR model |
scientific article; zbMATH DE number 6915684 |
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Approximate arbitrage-free option pricing under the SABR model (English)
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9 August 2018
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SABR model
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approximate solution
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arbitrage-free option pricing
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perturbation method
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0.8520216345787048
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0.8468024134635925
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0.8394173979759216
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0.8234222531318665
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0.8213595151901245
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